Free Excel SpreadSheets For Stock Options
Vanilla Options || Exotic Options || FX / Interest Rate Derivatives || Credit Derivatives || Economic Derivatives || Weather Derivatives || Trading Strategies || Value-at-Risk
global-derivatives.com provides the free spreadsheets to download we are providing some of their info here rest you can download from the link provided at bottom of the page.
Vanilla Options
Option Model
European Black-Scholes (Basic)
European Black-Scholes-Merton (Continuous Dividends)
European Evolution of Stock Prices w/Corresponding Option Values
European Black-Scholes model extended for trading day volatility (French)
European Binomial Method (Reiner-Leisen)
European Binomial Method (Cox-Ross-Rubinstein)
European Trinomial Method (Boyle)
European Comparing Binomial & Trinomial Methods
European Explicit Finite Differences
European Finite Differences – Crank Nicolson
European Monte Carlo Simulation
European Quasi-Monte Carlo (under Moro Inversion)
Adapted from/with Marco Antonio Guimarães Dias This e-mail address is being protected from spambots. You need JavaScript enabled to view it
European Jump Diffusion (Merton)
European At-the-Money Forward Approximation
European CEV Approach
-
European Hopscotch Method (Averaging Implicit & Explicit Finite Differences)
-
European Adaptive Mesh Method
-
Valuing stock as a call option on a firm Merton Model
American Roll, Geske, Whaley (Single Dividend)
American Carr, Jarrow & Myneni
American Barone-Adesi, Whaley (Quadratic Approximation)
American Ju-Zhong Approximation
American Binomial Method
American Trinomial Method
American Explicit Finite Differences Method
American Finite Differences – Crank Nicolson
American Bjerksund, Stensland Approximation
American Put Geske & Johnson Approximation
American Hopscotch Method (Averaging Implicit & Explicit Finite Differences)
American Compared Methods
Implied Volatility From Call/Put Prices (Newton-Rhapson Algorithm)
Implied Volatility Corrado & Miller Approximation
Implied Volatility Brenner & Subrahmanyam At-the-Money Approximation
Exotic Options
Option Model
Altiplano (Range) Monte Carlo Simulation -
Asian Approximations: Turnbull-Wakeman, Levy, (Curran still in progress)
Asian Monte Carlo Simulation (Incomplete-missing put option)
Asian Geometric Closed Form (Kemna & Vorst)
Asian American (Hawaiian) Monte Carlo Simulation
Asian Barrier Monte Carlo Simulation
Asian Spread on 2 Assets 3-D Binomial Method
Binary / Digital Cash or Nothing / Asset or Nothing
Binary / Digital Two-Asset Cash or Nothing
Single Barrier
Striking a barrier either starts the option or ends it Monte Carlo Simulation (Continuous Sampling)
Single Barrier
Monte Carlo Simulation (with Continuity Correction)
Barrier Binomial Method
Barrier Trinomial Method
Barrier Two Asset
Balloon Option Closed Form
C-Brick Option Form of Binary
Chooser
Ability to choose what you want at expiry Simple & Complex Choosers
Cliquet Option Backwards Binomial (Shparber & Resheff)
Compound
An Option on an Option Closed Form
Digital Barriers Asset Types
Digital Barriers Cash Types
Double Barrier Monte Carlo Simulation
Double Barrier Options Ikeda & Kunitomo
Double Barrier Options under Heston’s Stochastic Volatility (Faulhaber)
Double Digital Barrier Options under Heston’s Stochastic Volatility (Faulhaber)
Everest (Range) Monte Carlo Simulation
-
Exchange
Exchange it for something at a certain date European Closed Form
Exchange European 3-D Binomial
Exchange American Approximation (Bjerksund, Stensland)
Extendible Writer Extendible
Extendible Holder Extendible (Longstaff)
Extreme Spread Bermin Model
Forward Start
Option which starts in the future Closed Form
Gap Closed Form
Look Barrier Look-Barrier Calls (Bermin)
Lookback Floating-Strike
Lookback Fixed-Strike
Mirror Options (Manzano)
One Touch Digital / Binary
-
Options on Futures Black Model
Parisian Barrier
-
Partial Time Start Barrier One Asset Call Options
Partial Time Floating Strike Lookback (Heynen & Kat)
Partial Time Fixed Strike Lookback (Heynen & Kat)
Rainbow Two Asset Min-Max
Rainbow Two Asset Plus Cash
Rainbow European Two Asset (3-D Binomial)
Rainbow American Two Asset (3-D Binomial)
Rainbow Three Asset
-
Rainbow Barrier Two Asset Barrier
Range / Time Switch Discrete Time (Pechtl)
Reset Options European Strike Reset
Reverse Extreme Spread (Bermin)
Reverse Barrier (Wystup, Schmock, Shreve)
Reverse Double Barrier
-
Soft / Fluffy Barrier
Also known as Step Options
-
Spread European Two Asset (3-D Binomial)
Spread American Two Asset (3-D Binomial)
Spread European Two Asset (3-D Trinomial)
-
Spread (on Futures) Two Asset Approximation (Kirk)
Spread Two Asset (Quasi Monte Carlo)
Spread Three Asset (Quasi Monte Carlo)
Supershares Closed Form
> IR / FX / Currency Derivatives
Option Model
Caplets & Floorlets Black
European Currency Garman-Kohlhagen
European Swaptions Black-76
Equity Linked Forex Reiner
Foreign Equity – Domestic Strike Reiner
Interest Rate Barrier Options Barone-Adesi, Sorwar
Quanto Fixed ER – Foreign Equity
> Fixed Income / Bond Derivatives
Option Model
Download
Bond Schaefer & Schwartz
Bond Black-76
Bond Binomial – Rendleman & Bartter
Convertible Bond Binomial – Derman (Goldman-Sachs)
Coming Soon
-
Options on T-Bond Futures Black
Options on LIBOR Black
Credit Derivatives
Option Model
Download
CDS Spread Credit Grades (TM)
> Economic Derivatives
> Weather Derivatives
Option Model
HDD/CDD
-
Trading Strategies
Option Model
Download
Currency Hedging with Futures Hedge existing currency position
Optimal Delta Hedging European -
Trading Strategies Graphs, Details, Definitions
-
Value at Risk
Option Model
Value at Risk Delta-Gamma Approach (1 asset)
Value at Risk Variance – Covariance Approach (1 asset)
Value at Risk Variance – Covariance Approach (2 asset)
Value at Risk Bond Daily VaR (1 Issue)
http://www.global-derivatives.com/index.php/pricing-models-topmenu-37#ExoticOptions